Stylized facts of financial time series and hidden semi-Markov models

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2192-2209

  Bulla, Jan ^a   Bulla, Ingo ^b  

^a UNIVERSITY OF GÖTTINGEN   (Germany)

^b UNIVERSITÉ DE BRETAGNE OCCIDENTALE   (France)

Author keywords

Daily return series; EM algorithm; Hidden Markov model; Hidden semi Markov model; Right censoring; Sojourn time distribution

Indexed keywords

ALGORITHMS; CORRELATION METHODS; FUNCTION EVALUATION; MARKOV PROCESSES; MATHEMATICAL MODELS;

DAILY RETURN SERIES; EM ALGORITHMS; HIDDEN MARKOV MODELS; HIDDEN SEMI-MARKOV MODEL; RIGHT-CENSORING; SOJOURN TIME DISTRIBUTION;

TIME SERIES ANALYSIS;

EID: 33750985945     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.07.021     Document Type: Article

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